TY  - JOUR
AU  - Kaminsky,Graciela
AU  - Lyons,Richard K.
AU  - Schmukler,Sergio
TI  - Managers, Investors, and Crises: Mutual Fund Strategies in Emerging Markets
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 7855
PY  - 2000
Y2  - August 2000
UR  - http://www.nber.org/papers/w7855
L1  - http://www.nber.org/papers/w7855.pdf
N1  - Author contact info:
Graciela L. Kaminsky
Department of Economics
George Washington University
Washington, DC  20052
Tel: 202/994-6686
Fax: 202/994-6147
E-Mail: graciela@gwu.edu

Richard K. Lyons
460 Michigan Ave
Berkeley, CA 94707
Tel: 510-642-1059
Fax: 510-642-4700
E-Mail: lyons@haas.berkeley.edu

Sergio Schmukler
The World Bank
MSN MC3-301
1818 H Street, N.W.
Washington, DC 20433
Tel: 202-458-4167
Fax: 202-522-3518
E-Mail: Sschmukler@worldbank.org
AB  - This paper addresses the trading strategies of mutual funds in emerging markets. The data set we develop permits analysis of these strategies at the level of individual portfolios. Methodoloically, a novel feature is our disentangling the behavior of managers from that of underlying investors. For both managers and investors, we strongly reject the null hypothesis of no momentum trading: funds' momentum trading is positive they systematically buy winners and sell losers. Contemporaneous momentum trading (buying current winners and selling current losers) is stronger during crises, and stronger for fund investors than for fund managers. Lagged momentum trading (buying past winners and selling past losers) is stronger during non-crisis, and stronger for fund managers. Investors also engage in contagion trading, i.e., they sell assets from one country when asset prices fall in another.
ER  -